Cubemaps are basically pictures that are transferred onto any nearby reflective surfaces. When you put a cubemap entity into a map, compile, and then type the necessary commands into the game while the map is running, the game looks at the map from the viewpoint of each cubemap entity and generates 6 pictures of the surrounding area. Each reflective surface such as the sniper's scope, some types of water and shiney floors then grab the pictures from the cubemap entity nearest to them and use it as their own kind of texture. It is important to have many cubemap entities spaced throughout the level, usually one in every room (or several in a room if it's quite large) so that the reflections seem accurate and reflect the word around them.
I posted the commands you need to run ingame after compiling your map in another thread:
Compile your map (make sure there are cubemap entities spaced throughout the map)
Ignore those errors you get when you compile.
Start TF2, turn HDR OFF and go into console and type mat_specular 0.
Start your map and type 'sv_cheats 1' then 'buildcubemaps' into the console.
Turn HDR ON, reload the map, type the same into your console. Leave the map, type mat_specular 1, load the map and hopefully it should be working properly.
You will need to do this everytime you compile.
After the game has generated the cubemap images (they will flash up on your screen for some time) it packs them into the file. When you recompile your map and overwrite the map you just built cubemaps for, it will also overwrite the cubemap images packed into the map.
The reason you never see moving objects like players, rockets or stickybombs reflected on surfaces is that the reflective surface is showing a reflection of the world around it at the time the commands were run, not while a match is being played. Some newer engines have more realistic reflections because they are generating the cubemap images on-the-fly so you can see moving objects reflected.
The reason FaTony mentioned Pakrat is because Pakrat allows you to see a list of files that are packed into the map. The cubemap images appear on this list and can be viewed, removed or edited, but it's really not necessary. Pakrat is mainly used to put custom textures sounds and models into a map so that those who do not have these custom files installed can see them in the map anyway.